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I ordered a couple of small items from Warsenal as a test. I've never worked with MDF before, so I'm not entirely sure what to expect. Is tehre any kind of prep work involved with this stuff? What is the best kind of glue to use on it? Should I just get a bottle of Elmer's White Glue? My biggest concern though is going to be the painting. Since I've never worked with MDF terrain or objects before, I obviously have no experience painting it either. Do I need to prime? Will spray paint ruin the material? What about the details on the pieces themselves? I ordered a shipping container which as some details printed onto the wood, but I can't tell if they're actually etched into the wood or just printed on. Will those details remain after I paint over the pieces?

Use white glue.
You'll need a sharp knife to cut the pieces from the frame.
You'll still need to prime - use a spray to get a thin layer of paint.
MDF is essentially wood dust glued together - primer won't damage it.
If you can spray paint it then the etched detail will not get too blocked.
The MDF kit I got had etched details - don't know which kit you bought but would assume the same.

I'm a fairly strong guy. I'm not a bodybuilder or MMA fighter or anything, but I was in the USMC and I used to lift weights, but was still surprised to find MDF is actually quite heavy. I went to a home improvement store to buy three 1.5" 2x4 planks to make a table, and those things are quite hefty and unwieldy. Don't be like me: get yourself a cart or hand truck before you go inside if you're going to be buying large planks.